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Rise Of The Machines? Intraday High-Frequency Trading Patterns Of Cryptocurrencies, Alla A Petukhina, Raphael C. G. Reule, Wolfgang Karl Hardle
Rise Of The Machines? Intraday High-Frequency Trading Patterns Of Cryptocurrencies, Alla A Petukhina, Raphael C. G. Reule, Wolfgang Karl Hardle
Sim Kee Boon Institute for Financial Economics
This research analyses high-frequency data of the cryptocurrency market in regards to intraday trading patterns related to algorithmic trading and its impact on the European cryptocurrency market. We study trading quantitatives such as returns, traded volumes, volatility periodicity, and provide summary statistics of return correlations to CRIX (CRyptocurrency IndeX), as well as respective overall high-frequency based market statistics with respect to temporal aspects. Our results provide mandatory insight into a market, where the grand scale employment of automated trading algorithms and the extremely rapid execution of trades might seem to be a standard based on media reports. Our findings on …
Investing With Cryptocurrencies: A Liquidity Constrained Investment Approach, Simon Trimborn, Mingyang Li, Wolfgang Karl Hardle
Investing With Cryptocurrencies: A Liquidity Constrained Investment Approach, Simon Trimborn, Mingyang Li, Wolfgang Karl Hardle
Sim Kee Boon Institute for Financial Economics
Cryptocurrencies have left the dark side of the finance universe and become an object of study for asset and portfolio management. Since they have low liquidity compared to traditional assets, one needs to take into account liquidity issues when adding them to a portfolio. We propose a Liquidity Bounded Risk-return Optimization (LIBRO) approach, which is a combination of risk-return portfolio optimization under liquidity constraints. Cryptocurrencies are included in portfolios formed with stocks of the S&P 100, US Bonds, and commodities. We illustrate the importance of the liquidity constraints in an in-sample and out-of-sample study. LIBRO improves the weight optimization in …